Santa Claus Rally

Everybody knows that December is traditionally positive: the Santa Claus rally.
Indeed, December rallies have since 1955 reached on average 1.6% annualized, a December return on average 2.5 times stronger than the average return of non December months.

More importantly, when the return up to the end of November was negative, then the December return was on average only 0.8%

However, when the return to the end of November was positive, then the December return was on average 1.92%. This is also the case for 2017 (end of November 2017 return close to 18%.)

What is interesting is that since 1995, if the returns going into December were lower than 5%, then the December returns were very poor (no Santa Claus Rally because of tax loss selling.)

This is not the case and the table below suggests that the December 2017 gains should be about 2.5%.